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Let (Vt) be a stationary and β-mixing diffusion with unknown drift and diffusion coefficient. The integrated process Xt=∫0tVsds is observed at discrete times with regular sampling interval Δ. For both the drift function and the diffusion coefficient of the unobserved diffusion (Vt), we build nonparametric adaptive estimators based on a penalized least square approach. We derive risk bounds for the...
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